Creat a positive definite matrix, which way is better?

1 次查看（过去 30 天）
Ming
Ming 2016-1-12
评论： Matt J 2016-1-12
Hi everyone,
Suppose I have a positive definite matrix P and a non-singular matrix A, I realised there is a small numerical difference between K=(I-A)*P*(I-A)' and K_=P-A*P-P*A'+A*P*A'. If I want to create a positive definite matrix, which way should I use?
In some extreme cases, is it possible that K or K_ has very small negative eigenvalues?
Thanks

请先登录，再回答此问题。

采纳的回答

Matt J
Matt J 2016-1-12
编辑：Matt J 2016-1-12
Yes, if A has eigenvalues close to 1, then I believe neither K nor K_ will be positive definite with numerical robustness.
  4 个评论
显示 2更早的评论
Ming
Ming 2016-1-12
Thanks a lot! By the way, does this numerical problem/hazard have a formal name?

请先登录，再进行评论。

更多回答（0 个）

类别

在 Help Center 和 File Exchange 中查找有关 Logical 的更多信息

标签

产品

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by